Sometime after the Harrenhal tourney, Lyanna went missing. According to Robert Baratheon, Rhaegar had kidnapped her. However, other accounts (including Barristan Selmy's) state that Lyanna may have left with Rhaegar of her own accord. The latter is most likely the true account, as it was recorded that Rhaegar had his marriage annulled, and remarried in secret while in Dorne.

Regardless, Lyanna's older brother, Brandon Stark, heard of the news while traveling to Riverrun. He and his companions immediately turned around to confront Rhaegar at King's Landing.

When they arrived though, they found that Rhaegar was not there. Instead, his father, King Aerys Targaryen II (also known as the Mad King), had the group arrested and charged with treason. In turn, their fathers, including Rickard Stark, were summoned to court to answer for their sons "crimes."

King Aerys then had all but one of them brutally executed without a trial.

Aerys subsequently demanded that Robert Baratheon and Eddard Stark be turned over to him, presumably to be killed as well. At the time, both Robert and Ned were wards of the Lord of the Eyrie, Jon Arryn. Having made a pledge to protect them, Arryn refused his king, and instead declared a rebellion.

Robert and Ned Stark, alongside their foster father Jon Arryn, became the leaders of this revolt. Robert eventually killed Rhaegar in single combat at the Trident. Lyanna, however, was not present during this battle.

Instead, she was found by her brother Ned at the Tower of Joy in Dorne some time later. After fighting his way through three members of the Kingsguard, Ned found Lyanna inside on the verge of death, having just given birth to a son.

With her dying breath, Lyanna made Ned promise to keep her child safe, naming him Aegon. To keep the infant from Robert's wrath, Ned pretended it was his own bastard son, naming him Jon Snow, and taking him back to Winterfell to raise.

Lyanna is currently buried in the crypts of Winterfell. Robert Baratheon remained deeply in love with her up until his death, much to the chagrin of his wife Cersei Lannister, and he visits her tomb after arriving at Winterfell in Season 1.

Sansa Stark later visits this same statute when she returns to Winterfell in Season 5.

Note: This theory has since been officially confirmed in Game of Thrones Season 6, and in additional material released by HBO.

According to some, Lyanna Stark was not kidnapped by Rhaegar Targaryen. Instead, the two were actually in love with each other.

It was common knowledge that Rhaegar and Lyanna were each unsatisfied with their respective spouses. Lyanna did not trust Robert Baratheon due to his history with women, while Rhaegar was no longer in love with his wife, Elia Martell.

Many characters believe this side of the story. In the books, Daenerys Targaryen believes that her brother Rhaegar nobly fought, and died for the woman he loved. According to a vision she has in the House of the Undying, Rhaegar even whispers Lyanna's name with his dying breath.

Likewise, Barristan Selmy has said that the love Rhaegar had for Lyanna was true, but that he could not condone it as it resulted in the deaths of thousands.

One popular fan theory states that not only were Rhaegar and Lyanna secretely in love with each other, but that they had a child. According to this theory, the two of them fell for each other, and escaped away together to the Tower of Joy where Lyanna became pregnant.

After the actions of Rhaegar's father, King Aerys, incites a rebellion though, the prince honors his duty to his family and leaves Lyanna's side to fight in the war.

After his death, Ned Stark tracks her whereabouts down, and goes to rescue her. He finds Lyanna dying in a "bed of blood," which many fans interpret to have been caused by her giving birth. On the verge of death from childbirth complications, Lyanna makes Ned promise to keep her child safe.

Knowing that Robert Baratheon would likely kill this child if he found out (due to his love for Lyanna and hate for Rhaegar), Ned kept this promise by hiding the child's identity, raising him as his "bastard son" Jon Snow.

There is a significant amount of evidence for this theory in the books. For example, Jon Snow is said to have the most family resemblance to Arya Stark. Arya in turn is said to look very similar to Lyanna.

Additionally, when the Stark children discover their direwolf cubs, all of them are black except for Jon Snow's, which is white. White hair is a trait associated with the Targaryen bloodline.

Many fans also point to the fact that Ned Stark having a bastard is very uncharacteristic of him. It is difficult to imagine a scenario in which the honor-obsessed Ned would betray his wedding vows. Ned himself even seems to confirm it himself in the first novel. While thinking about Robert's bastard children, Ned's thoughts drift to Jon Snow, Rhaegar, and the mysterious promise he made to his sister Lyanna.

If this theory is true, that would mean (aside from his oath to the Night's Watch) that Jon Snow is actually the true heir to the Iron Throne, as the Targaryen son of Prince Rhaegar.